Double MA Strategy
2 Jul, 2019 - 30 Apr, 2020

Generated by QuantStats (v. 0.0.25)

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	91.0%

Cumulative Return	0.81%
CAGR%	0.98%
Sharpe	0.01
Sortino	0.01
Max Drawdown	-6.4%
Longest DD Days	229
Volatility (ann.)	0.21%
Calmar	0.15
Skew	3.34
Kurtosis	419.37

Expected Daily %	0.0%
Expected Monthly %	0.08%
Expected Yearly %	0.4%
Kelly Criterion	0.07%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.02%
Expected Shortfall (cVaR)	-0.02%

Payoff Ratio	1.04
Profit Factor	1.0
Common Sense Ratio	1.03
CPC Index	0.51
Tail Ratio	1.03
Outlier Win Ratio	5.57
Outlier Loss Ratio	4.41

MTD	-0.06%
3M	5.12%
6M	3.68%
YTD	4.83%
1Y	0.81%
3Y (ann.)	0.98%
5Y (ann.)	0.98%
10Y (ann.)	0.98%
All-time (ann.)	0.98%

Best Day	0.91%
Worst Day	-0.69%
Best Month	4.73%
Worst Month	-3.09%
Best Year	4.83%
Worst Year	-3.83%

Avg. Drawdown	-0.23%
Avg. Drawdown Days	3
Recovery Factor	0.13
Ulcer Index	1.0

Avg. Up Month	1.7%
Avg. Down Month	-0.97%
Win Days %	49.05%
Win Month %	40.0%
Win Quarter %	25.0%
Win Year %	50.0%

EOY Returns

Year	Return	Cumulative
2019	-3.86%	-3.83%
2020	4.83%	4.83%

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2019-08-02	2020-03-18	-6.40	229
2020-03-24	2020-04-30	-3.91	36
2020-03-18	2020-03-19	-1.18	0
2019-07-15	2019-08-02	-1.01	17
2020-03-23	2020-03-23	-0.94	0
2019-07-02	2019-07-11	-0.82	9
2020-03-20	2020-03-23	-0.79	2
2020-03-19	2020-03-20	-0.74	0
2020-03-19	2020-03-19	-0.58	0
2020-03-23	2020-03-24	-0.48	0